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Forecast evaluation of small nested model sets
Hubrich, Kirstin; West, Kenneth D. - 2009
We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs …
Persistent link: https://www.econbiz.de/10011605076
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Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence
Kim, Hyun Hak; Swanson, Norman R. - 2011
methods Our results suggest that model averaging does not dominate other well designed prediction model specification methods … using recursive estimation windows, which dominate other windowing approaches in our experiments, prediction models … constructed using pure principal component type models combined with shrinkage methods yield mean square forecast error best …
Persistent link: https://www.econbiz.de/10010282841
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Dynamic prediction pools: An investigation of financial frictions and forecasting performance
Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014
We provide a novel methodology for estimating time-varying weights in linear prediction pools, which we call dynamic … react in a timely fashion to changes in the environment, leading to real-time forecast improvements relative to other … methods of density forecast combination, such as Bayesian model averaging, optimal (static) pools, and equal weights. We show …
Persistent link: https://www.econbiz.de/10011340986
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A First Look on the New Halle Economic Projection Model
Giesen, Sebastian; Holtemöller, Oliver; Scharff, Juliane; … - 2010
In this paper we develop a small open economy model explaining the joint determination of output, inflation, interest rates, unemployment and the exchange rate in a multi-country framework. Our model - the Halle Economic Projection Model (HEPM) - is closely related to studies recently published...
Persistent link: https://www.econbiz.de/10010271586
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Forecasting economic and financial variables with global VARs
Pesaran, Mohammad Hashem; Schuermann, Til; Smith, L. Vanessa - 2008
forecast combination literature, the effects of model and estimation uncertainty on forecast outcomes are examined by pooling …
Persistent link: https://www.econbiz.de/10010276220
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Forecasting China's economic growth and inflation
Higgins, Patrick; Zha, Tao; Zhong, Karen - 2016
-run forecast horizons. The model is shown to be capable of predicting turning points and usable for policy analysis under different …
Persistent link: https://www.econbiz.de/10011776817
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Forecasting economic and financial variables with global VARs
Pesaran, M. Hashem; Schuermann, Til; Smith, L. Vanessa - 2008
. Building on the forecast combination literature, the paper examines the effects of model and estimation uncertainty on forecast …
Persistent link: https://www.econbiz.de/10010283542
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Text data rule - don't they? A study on the (additional) information of Handelsblatt data for nowcasting German GDP in comparison to established economic indicators
Shrub, Yuliya; Rieger, Jonas; Müller, Henrik; Jentsch, … - 2022
The prompt availability of information on the current state of the economy in real-time is required for prediction …
Persistent link: https://www.econbiz.de/10013366013
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University entrance selection and age at admission
Wikström, Christina; Wikström, Magnus - 2012
This paper focuses on the predictive validity of the upper secondary grade point average (GPA), when used as selection instrument to higher education. The purpose of the paper is to find out if the predictive strength of the GPA is affected by time, here measured as the time that has passed...
Persistent link: https://www.econbiz.de/10010321150
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Asymmetric time aggregation and its potential benefits for forecasting annual data
Kunst, Robert M.; Franses, Philip Hans - 2010
For many economic time-series variables that are observed regularly and frequently, for example weekly, the underlying activity is not distributed uniformly across the year. For the aim of predicting annual data, one may consider temporal aggregation into larger subannual units based on an...
Persistent link: https://www.econbiz.de/10010294045